Re: st: fixed effect correcting auto correlation and heteroskedasticity

[Syed Basher <syed.basher@yahoo.com>]

Hi,

You can consider the user written -xtscc- which corrects for both 
autocorrelation and heteroskedasticity. It also permits unbalanced panel and 
allows for fixed effects. For further info, see:
http://www.stata-journal.com/article.html?article=st0128

---------------------------
Syed Abul Basher
Qatar Central Bank
P.O. Box 1234
Doha, Qatar.
---------------------------




----- Original Message ----
From: Jan Lid <hhb010@hotmail.com>
To: statalist@hsphsun2.harvard.edu
Sent: Tue, March 1, 2011 7:44:44 PM
Subject: st: fixed effect correcting auto correlation and heteroskedasticity


Dear statalisters,

I have a question about correcting for autocorrelation and heteroskedasticity in 
panel data. I have read many posts but are still very confused. First of all my 
hausman test say i have to use fixed effect model so i will use that one

I can correct my paneldata for autocorrelation using xtregar in stead of xtreg. 
This does not correct for heteroskedasticity however.
i can use xtreg    ,fe robust. This corrects for heteroskedasticity but not for 
autocorrelation.

Maybe the fixed effect model does already correct for either one or both? Am I 
missing the obvious... i can't find a good explanation  Is it possible to use a 
newey west option somehow e.g?

I also had a question about unbalanced data set. MY dataset is unbalanced. Do i 
need to correct for this?

Help is very much appreciated.                             
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